Per downloaded file, you could specify a target folder for install.
You can do this with a prefix, like {MYFOLDER} and then have your TWebUpdate.OnConvertPrefix calculate the absolute path on the user machine for this {MYFOLDER} prefix and in your .INF file have something like
[file1]
URL=..
targetdir={MYFOLDER}\Help
[file2]
URL=..
targetdir={MYFOLDER}\Images
This is explained in https://download.tmssoftware.com/download/manuals/TMS%20TWebUpdate%20Developers%20Guide.pdf on page 8.